At the end of ADWD/beginning of TWOW there is a party headed from Dorne to take Myrcella back to King's Landing. Not a ton is known (and there is a bit of uncertainty/ambiguity to it) but I thought it would be interesting to take a look at what we know about this small event.

Myrcella's Return to King's Landing

Background

Balon Swann (of the kingsguard) has been sent to deliver Gregor Clegane's head to Dorne, but is also tasked with bringing Myrcella back to King's Landing/luring the Dornishmen into a trap:

"I am sending Balon Swann to Sunspear, to deliver him the head of Gregor Clegane." Ser Balon would have another task as well, but that part was best left unsaid. -AFFC, Cersei IV

Once Balon Swann arrives, he "convinces" the Martells to let Myrcella return to King's Landing:

Her Grace informed me that I might be called upon to escort her daughter back to King's Landing. King Tommen has been pining for his sister and would like Princess Myrcella to return to court for a short visit."

Princess Arianne made a sad face. "Oh, but we have all grown so fond of Myrcella, ser. She and my brother Trystane have become inseparable."

"Prince Trystane would be welcome in King's Landing as well," said Balon Swann. "King Tommen would wish to meet him, I am sure. His Grace has so few companions near his own age."

"The bonds formed in boyhood can last a man for life," said Prince Doran. "When Trystane and Myrcella wed, he and Tommen will be as brothers. Queen Cersei has the right of it. The boys should meet, become friends. Dorne will miss him, to be sure, but it is past time Trystane saw something of the world beyond the walls of Sunspear." -ADWD, The Watcher

But he really wants them to return via land:

Dorne's seat upon the small council has been vacant since my brother's death, and it is past time that it was filled again. I am flattered that Her Grace feels my counsel might be of use to her, though I wonder if I have the strength for such a journey. Perhaps if we went by sea?"

"By ship?" Ser Balon seemed taken aback. "That … would that be safe, my prince? Autumn is a bad season for storms, or so I've heard, and … the pirates in the Stepstones, they …"

"The pirates. To be sure. You may be right, ser. Safer to return the way you came." -ADWD, The Watcher

Cersei's True Plan

Dorne has a mole in King's Landing, which gives them indication of Cersei's true plan:

Prince Doran took a jagged breath. "Dorne still has friends at court. Friends who tell us things we were not meant to know. This invitation Cersei sent us is a ruse. Trystane is never meant to reach King's Landing. On the road back, somewhere in the kingswood, Ser Balon's party will be attacked by outlaws, and my son will die. I am asked to court only so that I may witness this attack with my own eyes and thereby absolve the queen of any blame. Oh, and these outlaws? They will be shouting, 'Halfman, Halfman,' as they attack. Ser Balon may even catch a quick glimpse of the Imp, though no one else will." -ADWD, The Watcher

and:

This is monstrous," said Lady Nym. "I would not have believed it, not of a Kingsguard knight."

"They are sworn to obey, just as my captain is," the prince said. "I had my doubts as well, but you all saw how Ser Balon balked when I suggested that we go by sea. A ship would have disturbed all the queen's arrangements."

The Dornish Pivot

In order to counter Cersei's plan, the Dornish do a few things:

1.) They have Ser Balon Swann go out after Darkstar

A prudent move since Balon won't know of the Dornish strength sent out:

Prince Doran raised a hand. His knuckles were as dark as cherries and near as big. "Ser Balon is a guest beneath my roof. He has eaten of my bread and salt. I will not do him harm. No. We will travel to the Water Gardens, where he will hear Myrcella's story and send a raven to his queen. The girl will ask him to hunt down the man who hurt her. If he is the man I judge, Swann will not be able to refuse. Obara, you will lead him to High Hermitage to beard Darkstar in his den

and:

With Balon Swann hunting the rogue knight Darkstar down in Dorne, -ADWD, Epilogue

and:

Only Ser Gerold Dayne had escaped unscathed. Darkstar. If Myrcella's horse had not shied at the last instant, his longsword would have opened her from chest to waist instead just taking off her ear. Dayne was her most grievous sin, the one that Arianne most regretted. With one stroke of his sword, he had changed her botched plot into something foul and bloody. If the gods were good, by now Obara Sand had treed him in his mountain fastness and put an end to him. -TWOW, Arianne I

2.) They send a strong escort

Three hundred seasoned spears had gone with them, over the Boneway, past the ruins of Summerhall, and up the kingsroad.

3.) Trystane/Doran remain in Dorne

Prince Trystane had remained safely back at Sunspear, after a tearful parting from Princess Myrcella. -TWOW, Arianne II

and:

The time is not yet come for Dorne to openly defy the Iron Throne, so we must needs return Myrcella to her mother, but I will not be accompanying her. That task will be yours, Nymeria.

The Party/Trip

We don't know much of the trip except a few short mentions.

Lady Nym will be the one escorting Myrcella:

The time is not yet come for Dorne to openly defy the Iron Throne, so we must needs return Myrcella to her mother, but I will not be accompanying her. That task will be yours, Nymeria. The Lannisters will not like it, no more than they liked it when I sent them Oberyn, but they dare not refuse. We need a voice in council, an ear at court. Be careful, though. King's Landing is a pit of snakes."

Lady Nym smiled. "Why, Uncle, I love snakes."

The Lannisters know that Doran isn't coming (but have not informed the Tyrells):

The seventh voice would be the Dornishwoman now escorting Myrcella home. The Lady Nym. But no lady, if even half of what Qyburn reports is true. A bastard daughter of the Red Viper, near as notorious as her father and intent on claiming the council seat that Prince Oberyn himself had occupied so briefly. Ser Kevan had not yet seen fit to inform Mace Tyrell of her coming. The Hand, he knew, would not be pleased. -ADWD, Epilogue

Tyene is heading to King's Landing as well:

"And what of me?" asked Tyene.

"Your mother was a septa. Oberyn once told me that she read to you in the cradle from the Seven-Pointed Star. I want you in King's Landing too, but on the other hill. The Swords and the Stars have been re-formed, and this new High Septon is not the puppet that the others were. Try and get close to him."

Tyene/Lady Nym lead a party of 300 warriors back to King's Landing:

Nym and Tyene may have reached King’s Landing by now, she mused, as she settled down crosslegged by the mouth of the cave to watch the falling rain. If not they ought to be there soon. Three hundred seasoned spears had gone with them, over the Boneway, past the ruins of Summerhall, and up the kingsroad. If the Lannisters had tried to spring their little trap in the kingswood, Lady Nym would have seen that it ended in disaster. Nor would the murderers have found their prey. Prince Trystane had remained safely back at Sunspear, after a tearful parting from Princess Myrcella. -TWOW, Arianne II

Its possible the Lannister attackers notice the size of the party and refrain from attack, but since Balon Swann is still in Dorne, no one is there to notify them.

It should be noted it is uncertain what happens with the men sent with Balon:

Ser Balon's journey had been shorter but troubling in its own way, the captain knew. Three knights, eight squires, twenty men-at-arms, and sundry grooms and servants had accompanied him from King's Landing

It should also be noted that Doran has a means of contacting them, which could be extremely important if say Dorne allies with Young Griff, etc.:

"Good," the prince said, "good." He hesitated. "If … if certain things should come to pass, I will send word to each of you. Things can change quickly in the game of thrones."

Lastly it should also be noted that there is a chance that the Dornish party encounters Mace Tyrell on his journey south to Storm's End:

Nym and Tyene may have reached King’s Landing by now, she mused, as she settled down crosslegged by the mouth of the cave to watch the falling rain. If not they ought to be there soon. Three hundred seasoned spears had gone with them, over the Boneway, past the ruins of Summerhall, and up the kingsroad.

TLDR: Nothing new. Lady Nym/Tyene/Myrcella are returning to King's Landing with 300 spears. There is a Lannister ambush in wait for them. There is also a small chance they could encounter Mace Tyrell on the kingsroad as he heads south to do battle with Young Griff.